Universität Wien

040514 VK KFK CF/FM: Empirical Finance (2011W)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung

Lab 5: 11-12:30, on Thursdays and Fridays, to pratice Eviews
Final Exam: 31.01.2012: 2-4.30 p.m. room 11
Moodle

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Details

max. 50 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

  • Montag 03.10. 12:00 - 14:00 Hörsaal 9
  • Dienstag 04.10. 13:30 - 15:00 EDV-Labor 2
  • Montag 10.10. 12:00 - 14:00 Hörsaal 9
  • Dienstag 11.10. 13:30 - 15:00 EDV-Labor 2
  • Montag 17.10. 12:00 - 14:00 Hörsaal 9
  • Dienstag 18.10. 13:30 - 15:00 EDV-Labor 2
  • Montag 24.10. 12:00 - 14:00 Hörsaal 9
  • Dienstag 25.10. 13:30 - 15:00 EDV-Labor 2
  • Montag 31.10. 12:00 - 14:00 Hörsaal 9
  • Montag 07.11. 12:00 - 14:00 Hörsaal 9
  • Dienstag 08.11. 13:30 - 15:00 EDV-Labor 2
  • Montag 14.11. 12:00 - 14:00 Hörsaal 9
  • Dienstag 15.11. 13:30 - 15:00 EDV-Labor 2
  • Montag 21.11. 12:00 - 14:00 Hörsaal 9
  • Dienstag 22.11. 13:30 - 15:00 EDV-Labor 2
  • Montag 28.11. 12:00 - 14:00 Hörsaal 9
  • Dienstag 29.11. 13:30 - 16:00 EDV-Labor 2
  • Montag 05.12. 12:00 - 14:00 Hörsaal 9
  • Dienstag 06.12. 13:30 - 15:00 EDV-Labor 2
  • Montag 12.12. 12:00 - 14:00 Hörsaal 9
  • Dienstag 13.12. 13:30 - 15:00 EDV-Labor 2
  • Montag 09.01. 12:00 - 14:00 Hörsaal 9
  • Dienstag 10.01. 13:30 - 15:00 EDV-Labor 2
  • Montag 16.01. 12:00 - 14:00 Hörsaal 9
  • Dienstag 17.01. 13:30 - 15:00 EDV-Labor 2
  • Montag 23.01. 12:00 - 14:00 Hörsaal 9
  • Dienstag 24.01. 13:30 - 15:00 EDV-Labor 2
  • Montag 30.01. 12:00 - 14:00 Hörsaal 9
  • Dienstag 31.01. 14:00 - 16:30 Hörsaal 11

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

The topics covered in Lectures and Lab Classes are:
1. Introduction and basic data handling with Eviews
2. Classical linear regression model
4. Introduction of Time series of financial data
5. Market efficiency and predictability
6. Market microstructure. Non synchronous trading and bid- ask spread
7. CAPM, APT and multifactor models
8. Fund performance
9. Event studies
10. Present-value models
11. Term structure of interest rates
12. Volatility models

Art der Leistungskontrolle und erlaubte Hilfsmittel

Continuous assessment.
- 50% of the final mark will come from a written examination at the end of the course.
- 50% of the final mark will come from coursework assigned during the course. It includes lab assignments to be handed in specific weeks of the course, and an end-of-course empirical group project.

Mindestanforderungen und Beurteilungsmaßstab

This course aims to introduce financial econometrics with particular emphasis on its empirical applications. It provides students with the concepts of the econometric techniques widely applied in finance, and their hand-on applications and interpretations. It aims to develop computer skills in financial analysis, using the statistical package EViews.

Prüfungsstoff

2-hour lectures aim to provide the students with the theoretical and intuitive understanding of the econometric techniques of interests. Then, 2-hour labs are dedicated to hands-on computer work using the software Eviews, with emphasis on the interpretation of the results.

Literatur

The main textbooks are:
- John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press (selected chapters)
- Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge Press, (selected chapters)

Other suggested readings are:
- Gary Koop (2006) Analysis of Financial Data, Wiley
- K. Cuthbertson (2004), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, EDITOR
- Stephen J. Taylor (2005) Asset price dynamics, Volatility and Prediction, Princeton University Press
- Terry J. Watson and Keith Parramore (1997) Quantitative methods in Finance, South-Western
- Dimitrious Asteriou and Stephen G. Hall (2007) Applied Econometrics, Palgrave Macmillan

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mo 07.09.2020 15:29